Syntax
public ATRP(WealthLab.Bars bars, int period, string description)
public static ATRP Series(WealthLab.Bars bars, int period)
Parameter Description
| bars |
The Bars object |
| period |
Indicator calculation period |
Description
ATRP expresses the Average True Range, or
ATR, as a percentage of the closing price of the specified Bar. ATRP provides a good picture of current volatility.
Calculation
ATRP( bar, period ) = 100 * ATR( bar period ) / PriceClose( bar )
where,
ATR = Average True Range (see indicator)
Example
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
namespace WealthLab.Strategies
{
public class MyStrategy : WealthScript
{
/*
Short when price hits the High of the previous bar * (1 + ATRP/100 )
Cover on trailing stop of the same series
*/
protected override void Execute()
{
// Convert to fractional percentage, e.g., 3.5% -> 0.035
DataSeries hATRP = ATRP.Series( Bars, 5 ) / 100 + 1;
DataSeries hATRP_H = Bars.High * hATRP;
// Delay indicator plot by 1 bar to observe crossovers
PlotSeries( PricePane, hATRP_H>>1, Color.Blue, LineStyle.Dotted, 2 );
DrawLabel( PricePane, "ATRP_H + 2%" );
PlotStops();
for(int bar = 15; bar < Bars.Count; bar++)
{
if (IsLastPositionActive)
CoverAtTrailingStop( bar+1, LastPosition, hATRP_H[bar] );
else
ShortAtLimit( bar+1, hATRP_H[bar] );
}
}
}
}